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Finding SPF Percentiles Closest to Greenbook

Author

Listed:
  • Tae-Hwy Lee

    (Department of Economics, University of California Riverside)

  • Yiyao Wang

    (Booth School of Business, University of Chicago)

Abstract

To find forecasts that are closest to Greenbook forecast from the Survey of Professional Forecasters, this paper looks for SPF cross-sectional percentile forecasts that are not encompassed by Greenbook forecast under Greenbook's loss preference, which exhibits time-varying asymmetry. To evaluate SPF percentile forecasts under Greenbook's loss function, we introduce the forecast encompassing test for the asymmetric least square regression of conditional expectiles. From the analysis of the U.S. quarterly real output and inflation forecasts over the past four decades, we find that almost all SPF percentiles are encompassed by Greenbook forecast in full data period. However there is evidence in sub-periods that many SPF percentiles are not encompassed by Greenbook. Among those not-encompassed SPF percentiles, the best SPF percentile closest to Greenbook for real output growth forecast is near the median, while the best SPF percentile for inflation forecast is far below the median in the left tail of the SPF cross-sectional distribution.

Suggested Citation

  • Tae-Hwy Lee & Yiyao Wang, 2015. "Finding SPF Percentiles Closest to Greenbook," Working Papers 201503, University of California at Riverside, Department of Economics.
    • Handle: RePEc:ucr:wpaper:201503
    as

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    File URL: https://economics.ucr.edu/repec/ucr/wpaper/201503.pdf
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    References listed on IDEAS

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    2. Graham Elliott & Allan Timmermann & Ivana Komunjer, 2005. "Estimation and Testing of Forecast Rationality under Flexible Loss," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(4), pages 1107-1125.
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    More about this item

    Keywords

    Greenbook; Survey of Professional Forecasters; estimation of ‡exible loss function; SPF cross-sectional distribution; SPF percentiles; encompassing test; asymmetric least squares.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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